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1.
Asymmetric information models of market microstructure claim that variables such as trading intensity are proxies for latent information on the value of financial assets. We consider the interval‐valued time series (ITS) of low/high returns and explore the relationship between these extreme returns and the intensity of trading. We assume that the returns (or prices) are generated by a latent process with some unknown conditional density. At each period of time, from this density, we have some random draws (trades) and the lowest and highest returns are the realized extreme observations of the latent process over the sample of draws. In this context, we propose a semiparametric model of extreme returns that exploits the results provided by extreme value theory. If properly centered and standardized extremes have well‐defined limiting distributions, the conditional mean of extreme returns is a nonlinear function of the conditional moments of the latent process and of the conditional intensity of the process that governs the number of draws. We implement a two‐step estimation procedure. First, we estimate parametrically the regressors that will enter into the nonlinear function, and in a second step we estimate nonparametrically the conditional mean of extreme returns as a function of the generated regressors. Unlike current models for ITS, the proposed semiparametric model is robust to misspecification of the conditional density of the latent process. We fit several nonlinear and linear models to the 5‐minute and 1‐minute low/high returns to seven major banks and technology stocks, and find that the nonlinear specification is superior to the current linear models and that the conditional volatility of the latent process and the conditional intensity of the trading process are major drivers of the dynamics of extreme returns.  相似文献   

2.
We examine directional predictability in foreign exchange markets using a model‐free statistical evaluation procedure. Based on a sample of foreign exchange spot rates and futures prices in six major currencies, we document strong evidence that the directions of foreign exchange returns are predictable not only by the past history of foreign exchange returns, but also the past history of interest rate differentials, suggesting that the latter can be a useful predictor of the directions of future foreign exchange rates. This evidence becomes stronger when the direction of larger changes is considered. We further document that despite the weak conditional mean dynamics of foreign exchange returns, directional predictability can be explained by strong dependence derived from higher‐order conditional moments such as the volatility, skewness and kurtosis of past foreign exchange returns. Moreover, the conditional mean dynamics of interest rate differentials contributes significantly to directional predictability. We also examine the co‐movements between two foreign exchange rates, particularly the co‐movements of joint large changes. There exists strong evidence that the directions of joint changes are predictable using past foreign exchange returns and interest rate differentials. Furthermore, both individual currency returns and interest rate differentials are also useful in predicting the directions of joint changes. Several sources can explain this directional predictability of joint changes, including the level and volatility of underlying currency returns. Copyright © 2007 John Wiley & Sons, Ltd.  相似文献   

3.
We investigate the sources of skewness in aggregate risk factors and the cross section of stock returns. In an ICAPM setting with conditional volatility, we find theoretical time series predictions on the relationships among volatility, returns, and skewness for priced risk factors. Market returns resemble these predictions; however, size, book-to-market, and momentum factor returns are not always consistent with our predictions. We find evidence that size and book-to-market may be priced post-crisis but not in the decade before. Momentum does not appear priced by our test. We link aggregate risk and skewness to individual stocks and find empirically that the risk aversion effect manifests in individual stock skewness. Additionally, we find several firm characteristics that explain stock skewness. Smaller firms, value firms, highly levered firms, and firms with poor credit ratings have more positive skewness.  相似文献   

4.
This paper utilizes a new approach to examine the inherent nonlinear dynamics of the exchange rate returns volatility. Specifically, we utilize a regime switching threshold (i) generalized autoregressive conditional heteroskedasticity (RS-TGARCH) and (ii) a fractional generalized autoregressive conditional heteroskedasticity (RS-TFIGARCH) model. The RS-TGARCH model is found to be adequate in analyzing the first two moments of the U.K. pound/U.S. dollar monthly exchange rate returns series. The RS-TFIGARCH is found to be adequate for the daily returns series. The volatility persistence and leverage effects associated with exchange rate returns series are jointly tested by means of a Wald Chi-square test.  相似文献   

5.
In this paper, linear and nonlinear Granger causality tests are used to examine the dynamic relationship between daily Korean stock returns and trading volume. We find evidence of significant bidirectional linear and nonlinear causality between these two series. ARCH-ype models are used to examine whether the nonlinear causal relations can be explained by stock returns and volume serving as proxies for information flow in the stochastic process generating volume and stock returns respectively. After controlling for volatility persistent in both series and filtering for linear dependence, we find evidence of nonlinear bidirectional causality between stock returns and volume series. The finding of strong bidirectional stock price-volume causal relationships implies that knowledge of current trading volume improves the ability to forecast stock prices. This evidence is not supportive of the efficient market hypothesis. Another finding is that the nonlinear relationship is sensitive to institutional, organizational, and structural factors. The results of this study should be useful to regulators, practitioners and derivative market participants whose success precariously depends on the ability to forecast stock price movements.  相似文献   

6.
We present and estimate models of an asymmetric relationship between CRSP stock index returns and the U.S. unemployment rate. Based on the Akaike Information Criterion, conventional linear time series models are improved by allowing asymmetric responses. Our results show that negative stock returns are quickly followed by sharp increases in unemployment, while more gradual unemployment declines follow positive stock returns. According to our forecasting model, the unemployment rate rises by 1.12 percentage points during the 12 months after a 10 percent stock decline. Because macroeconomic forecasters have been unable to reliably predict downturns, these findings may provide a useful contribution.  相似文献   

7.
We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We suggest copulas for first‐order Markov series, and then extend them to higher orders and multivariate series. We derive the copula of a volatility proxy, based on which we propose new measures of volatility dependence, including co‐movement and spillover in multivariate series. In general, these depend upon the marginal distributions of the series. Using exchange rate returns, we show that the resulting copula models can capture their marginal distributions more accurately than univariate and multivariate generalized autoregressive conditional heteroskedasticity models, and produce more accurate value‐at‐risk forecasts.  相似文献   

8.
We find that currency risk, specifically dollar exchange rate risk, is a determinant in firm stock returns worldwide. Firms exposed to various dollar exchange rate risks worldwide exhibit strong differences in expected returns, and firms with previously high sensitivity to their home country’s exchange rate fluctuation subsequently outperform during the following six to twelve months. This effect is robust across countries, time, exchange rate policies, and macroeconomic environments. We find that information in currency forward rates provides additional, useful information when predicting future returns of these currency-sensitive firms, and dynamic, state-space estimation of currency forward rate term structures complements the predictability.  相似文献   

9.
In this paper we extend nearest-neighbour predictors to allow for information content in a wider set of simultaneous time series. We apply these simultaneous nearest-neighbour (SNN) predictors to nine EMS currencies, using daily data for the 1st January 1978–31st December 1994 period. When forecasting performance is measured by Theil's U statistic, the (nonlinear) SNN predictors perform marginally better than both a random walk and the traditional (linear) ARIMA predictors. Furthermore, the SNN predictors outperform the random walk and the ARIMA models when producing directional forecasts.When formally testing for forecast accuracy, in most of the cases the SNN predictor outperforms the random walk at the 1% significance level, while outperforming the ARIMA model in three of the nine cases. On the other hand, our results suggest that the probability of correctly predicting the sign of change is higher for the SNN predictions than the ARIMA case.  相似文献   

10.
ARIMA融合神经网络的人民币汇率预测模型研究   总被引:1,自引:0,他引:1  
本文在深入分析了单整自回归移动平均(ARIMA)模型与神经网络(NN)模型特点的基础上,建立了ARIMA融合NN的人民币汇率时间序列预测模型。其基本思想是充分发挥两种模型在线性空间和非线性空间的预测优势,即将汇率时间序列的数据结构分解为线性自相关主体和非线性残差两部分,首先用ARI-MA模型预测序列的线性主体,然后用NN模型对其非线性残差进行估计,最终合成为整个序列的预测结果。通过对三种人民币汇率序列的仿真实验表明,融合模型的预测准确率显著高于包括随机游走模型在内的单一模型的预测准确率,从而证实了融合模型用于汇率预测的有效性。这一结果也表明,人民币汇率市场并不符合有效市场假设,可以通过模型对汇率未来走势做出较准确预测。  相似文献   

11.
This study examines the effects of oil prices and exchange rates on stock market returns in BRICS countries (Brazil, Russia, China, India and South Africa) from a time–frequency perspective over the period 2009–2020. We use wavelet decomposition series to develop a threshold rolling window quantile regression to detect time–frequency effects at various scales. The empirical results are as follows. First, our findings confirm that the effects of both crude oil prices and exchange rates on BRICS stock returns are asymmetric. Positive shocks of crude oil have a greater impact on a bull market, whereas negative shocks have a greater impact on a bear market. Second, there is a short-term enhancement effect of crude oil and exchange rate on BRICS stock markets. In addition, volatility in the macro financial environment also exacerbates the impacts of oil prices and exchange rates on the stock market, and these fluctuations are heterogeneous. Overall, these findings provide useful insights for international investors and policy makers.  相似文献   

12.
Several studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of traded options or piece‐wise linear regressions. This paper provides a statistical methodology to unveil such nonlinear features with respect to returns on benchmark risk portfolios. We estimate a portfolio of options that best approximates the returns of a given hedge fund, account for this search in the statistical testing of the nonlinearity, and provide a reliable test for a positive valuation of the fund. We find that not all fund categories exhibit significant nonlinearities, and that only a few strategies provide significant value to investors. Our methodology helps identify individual funds that provide value in an otherwise poorly performing category. Copyright © 2010 John Wiley & Sons, Ltd.  相似文献   

13.
Since the bubble of the late 1990s the dividend yield appears non-stationary indicating the breakdown of the equilibrium relationship between prices and dividends. Two lines of research have developed in order to explain this apparent breakdown. First, that the dividend yield is better characterised as a non-linear process and second, that it is subject to mean level shifts. This paper jointly models both of these characteristics by allowing non-linear reversion to a changing mean level. Results support stationarity of this model for eight international dividend yield series. This model is than applied to the forecast of monthly stock returns. Evidence supports our time-varying non-linear model over linear alternatives, particularly so on the basis of an out-of-sample R-squared measure and a trading rule exercise. More detailed examination of the trading rule measure suggests that investors could obtain positive returns, as the model forecasts do not imply excessive trading such that costs would not outweigh returns. Finally, the superior performance of the non-linear model largely arises from its ability to forecast negative returns, whereas linear models are unable to do.  相似文献   

14.
This paper provides empirical evidence of the predictive power of the currency implied volatility term structure (IVTS) for the behavior of the exchange rate from both cross-sectional and time series perspectives. Intriguingly, the direction of the prediction is not the same for developed and emerging markets. For developed markets, a high slope means low future returns, while for emerging markets it means high future returns. We analyze predictability from a cross-sectional perspective by building portfolios based on the slope of the term structure, and thus present a new currency trading strategy. For developed (emerging) currencies, we buy (sell) the two currencies with the lowest slopes and sell (buy) the two with the highest slopes. The proposed strategy performs better than common currency strategies – carry trade, risk reversal, and volatility risk premium (VRP) – based on the Sharpe ratio, considering only currency returns, which supports the exchange rate predictability of the IVTS from a cross-sectional perspective.  相似文献   

15.
We develop a twofold analysis of how the information provided by several economic indicators can be used in Markov switching dynamic factor models to identify the business cycle turning points. First, we compare the performance of a fully nonlinear multivariate specification (one‐step approach) with the ‘shortcut’ of using a linear factor model to obtain a coincident indicator, which is then used to compute the Markov switching probabilities (two‐step approach). Second, we examine the role of increasing the number of indicators. Our results suggest that one step is generally preferred to two steps, especially in the vicinity of turning points, although its gains diminish as the quality of the indicators increases. Additionally, we also obtain decreasing returns of adding more indicators with similar signal‐to‐noise ratios. Using the four constituent series of the Stock–Watson coincident index, we illustrate these results for US data. Copyright © 2014 John Wiley & Sons, Ltd.  相似文献   

16.
We examine the impact of higher order moments of changes in the exchange rate on stock returns of U.S. large-cap companies in the S&P500. We find a robust negative effect of exchange rate volatility on S&P500 company returns. The consumer discretionary and the consumer staples sectors have significant negative exposure to exchange rate volatility suggesting that exchange rate volatility affects stock returns through the channel of international operations. In terms of industries, the household products and personal products industries have significant negative exposure as well. The impact in the financial sector suggests that derivatives and hedging activity can mitigate exposure to exchange rate volatility. We find weak evidence that exchange rate skewness has an effect on S&P500 stock returns, but, find evidence that exchange rate kurtosis affects returns of companies that are more exposed to exchange rate volatility.  相似文献   

17.
We examine the relationship between exchange‐rate changes and stock returns for a sample of Dutch firms over 1994–1998. We find that over 50 per cent of the firms are significantly exposed to exchange‐rate risk. Furthermore, all firms with significant exchange‐rate exposure benefit from a depreciation of the Dutch guilder relative to a trade‐weighted currency index. This result confirms that firms in open economies, such as the Netherlands, exhibit significant exchange‐rate exposure. We collect unique information on the most relevant individual currencies for each firm with respect to their influence on firm value. Our results indicate that the use of a trade‐weighted currency index and the use of individual exchange rates are complements. We also measure the determinants of exchange‐rate exposure. As expected, we find that firm size and the foreign sales ratio are significantly and positively related to exchange‐rate exposure. In contrast with our hypothesis, off‐balance hedging using derivatives has no significant effects. Finally, in line with theory, we find that exposure is significantly reduced through on‐balance sheet hedging, i.e., through foreign loans and by producing in factories abroad.  相似文献   

18.
One of the main arguments of behavioral finance is that some properties of asset prices are most probably regarded as deviations from fundamental value and they are generated by the participation of traders who are not fully rational, thus called noise traders. Noise trader theory postulates that sentiment traders have greater impact during high-sentiment periods than during low-sentiment periods, and sentiment traders miscalculate the variance of returns undermining the mean-variance relation. The main objective of this research is to construct a model to evaluate the returns and conditional volatility of various stock market indexes considering the changes in the investor sentiment by measuring the effects of noise trader demand shocks on returns and volatility. EGARCH model is used to determine whether earning shocks have more influence on the conditional volatility in high sentiment periods weakening the mean–variance relation. This paper takes an international approach using weekly market index returns of U.S., Japan, Hong Kong, U.K., France, Germany, and Turkey. Weekly trading volumes of these indexes are regressed against a group of macroeconomic variables and the residuals are used as proxies for investor sentiment and significant evidence is found that there is asymmetric volatility in these market indexes and earning shocks have more influence on conditional volatility when the sentiment is high.  相似文献   

19.
This paper investigates the joint time series behavior of monthly stock returns and growth in industrial production. We find that stock returns are well characterized by year-long episodes of high volatility, separated by longer quiet periods. Real output growth, on the other hand, is subject to abrupt changes in the mean associated with economic recessions. We study a bivariate model in which these two changes are driven by related unobserved variables, and conclude that economic recessions are the primary factor that drives fluctuations in the volatility of stock returns. This framework proves useful both for forecasting stock volatility and for identifying and forecasting economic turning points.  相似文献   

20.
This paper uses a k-th order nonparametric Granger causality test to analyze whether firm-level, economic policy and macroeconomic uncertainty indicators predict movements in real stock returns and their volatility. Linear Granger causality tests show that whilst economic policy and macroeconomic uncertainty indices can predict stock returns, firm-level uncertainty measures possess no predictability. However, given the existence of structural breaks and inherent nonlinearities in the series, we employ a nonparametric causality methodology, as linear modeling leads to misspecifications thus the results cannot be considered reliable. The nonparametric test reveals that in fact no predictability can be observed for the various measures of uncertainty i.e., firm-level, macroeconomic and economic policy uncertainty, vis-à-vis real stock returns. In turn, a profound causal predictability is demonstrated for the volatility series, with the exception of firm-level uncertainty. Overall our results not only emphasize the role of economic and firm-level uncertainty measures in predicting the volatility of stock returns, but also presage against using linear models which are likely to suffer from misspecification in the presence of parameter instability and nonlinear spillover effects.  相似文献   

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